Credit Suisse plans autocallables linked to S&P 500, Russell

By Susanna Moon

Chicago, Jan. 29 – Credit Suisse AG, London branch plans to price 0% autocallable securities due March 1, 2018 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par plus a premium of 10% to 12% per year if each index closes at or above its initial level on any semiannual observation date.

The payout at maturity will be par plus 11% unless either index ever closes below its knock-in level, 70% of its initial level, during the life of the notes in which case investors will be fully exposed to any losses of the worse performing index.

Credit Suisse Securities (USA) LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 29.

The Cusip number is 22546VVR4.

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